Korsaye, Sofonias Alemu; Quaini, Alberto; Trojani, Fabio - 2021 - This version: June 30, 2021
a SDF’s pricing accuracy and its comovement with systematic risks. Empirically, a minimum variance CAPM–SDF produces a … Pareto optimal tradeoff. This SDF only depends on two distinct risk factors: A traded market factor and a minimum variance …